Main category
Economics (General Management)
Abstract
A model is presented for the calculation of the fair value and the hedge ratios, Delta, Vega and Gamma, with respect to pools of Canadian commercial and residential mortgages. Commercial mortgages are closed and either insured or not insured, while residential mortgages are separated into
• insured open or closed mortgages, and
• non-insured open or closed mortgages.
Further reading
https://ia904700.us.archive.org/8/items/mortgagePool/mortgagePool.pdf
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